Reflections on BSDEs

D Possamaï, M Rodrigues - Electronic Journal of Probability, 2024 - projecteuclid.org
We prove well-posedness results for backward stochastic differential equations (BSDEs)
and reflected BSDEs with an optional obstacle process in the case of appropriately weighted …

[PDF][PDF] On the compensator of step processes in progressively enlarged filtrations and related control problems

E Bandini, F Confortola, P Di Tella - ALEA, 2024 - alea.impa.br
For a step process X with respect to its natural filtration F, we denote by G the smallest right-
continuous filtration containing F and such that another step process H is adapted. We …

Locally Lipschitz BSDE with jumps and related Kolmogorov equation

K Abdelhadi, N Khelfallah - Stochastics and Dynamics, 2022 - World Scientific
We study a backward SDE driven by a jump Markov process (BSDEJ for short) whose
generator may be locally Lipschitz or of logarithmic growth in (y, z (⋅))-variables. The …

Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting

C Geiss, A Steinicke - Probability, uncertainty and quantitative risk, 2018 - Springer
We show that the comparison results for a backward SDE with jumps established in Royer
(Stoch. Process. Appl 116: 1358–1376, 2006) and Yin and Mao (J. Math. Anal. Appl 346 …

Common Noise by Random Measures: Mean-Field Equilibria for Competitive Investment and Hedging

D Becherer, S Hesse - arXiv preprint arXiv:2408.01175, 2024 - arxiv.org
We study mean-field games where common noise dynamics are described by integer-
valued random measures, for instance Poisson random measures, in addition to Brownian …

Existence, uniqueness and Malliavin differentiability of Lévy-driven BSDEs with locally Lipschitz driver

C Geiss, A Steinicke - Stochastics, 2020 - Taylor & Francis
We investigate conditions for solvability and Malliavin differentiability of backward stochastic
differential equations driven by a Lévy process. In particular, we are interested in generators …

On some Properties of Forward and Backward Stochastic Differential Equations with Jumps

I Madoui - 2024 - thesis.univ-biskra.dz
The aim of this Ph. D. thesis is to study the problem of existence and uniqueness by relaxing
the Lipschitz condition on generators of backward stochastic differential equations with …

𝕃2-solutions of multidimensional generalized BSDEs with weak monotonicity and general growth generators in a general filtration

R Belfadli, T El Mellali, I Fakhouri… - Random Operators and …, 2023 - degruyter.com
In this paper, we study multidimensional generalized backward stochastic differential
equations (GBSDEs), in a general filtration supporting a Brownian motion and an …

Stochastic Differential Equations Driven by a Jump Markov Process and Their Applications

K Abdelhadi - 2023 - thesis.univ-biskra.dz
In the present thesis we are interested in the well-posedness problem to a wide class of
backward stochastic differential equations driven by Brownian motion and indepen-dent …

Exponential quadratic BSDEs with infinite activity jumps

A Matoussi, R Salhi - arXiv preprint arXiv:1904.08666, 2019 - arxiv.org
In this paper, we study a Backward Stochastic Differential Equation with Jumps (BSDEJs in
short) where the jumps have infinite activity. Following a forward approach based on …